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The Changing Dynamics of South Africa's Inflation Persistence: Evidence from a Quantile Regression Framework

Rangan Gupta (), Charl Jooste () and Omid Ranjbar ()

No 201563, Working Papers from University of Pretoria, Department of Economics

Abstract: We study inflation persistence in South Africa using a quantile regression approach. We control for structural breaks using a quantile structural break test on a long span of inflation data. Our study includes persistence estimates for headline and core inflation - thus controlling for possible biases emanating from extremely volatile periods. South Africa's inflation persistence is lowest during the inflation targeting period regardless of the inflation measure. Inflation persistence is also constant over all quantiles during the inflation targeting regime for core inflation. There is a difference between the estimates from headline and core - headline persistence increases in relation to higher quantiles. Thus energy and food price shocks might de-stabilise inflation altogether.

Keywords: Inflation persistence; quantile regression; structural breaks (search for similar items in EconPapers)
JEL-codes: C21 E31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2015-08
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201563

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